Here's the cite from the Associated Press Stylebook, which explains why -- whatever your personal opinion on this -- you should refrain from using "first annual" in any submission to a news organization:

"An event cannot be described as annual until it has been held in at least two successive years. Do not use the term first annual. Instead, note that sponsors plan to hold an event annually."

If you are having a private event, call it anything you wish. If you want publicity through media, call it "inaugural" in order to be taken seriously.